Hello, I have stan code for Regime Switching Model from Jim Savage site. Here this site: https://khakieconomics.github.io/2018/02/24/Regime-switching-models.html . I have an issue in creating the log-likelihood in the generated quantities. I am not sure how to define the target syntax in the gener…

Sorry, can’t answer now, maybe @mcol is not busy and can help?

[image] riaretna: // likelihood is really easy here! target += sum(log(f)); If total log likelihood is sum(log(f)) then individual terms of the log likelihood are log(f) generated quantities { vector [T] log_lik = log(f); }

Thank you for the attention Mr. @avehtari . I have read your article entitled “WAIC and cross-validation in Stan”. Is the log_lik that you proposed in that formula (log_lik = log(f)) has the same mean with log-predictive density (for computing waic)?

[image] riaretna: I have an issue in creating the log-likelihood in the generated quantities In the first message you mention log-likelihood and the code wrote computes log-likelihood. [image] riaretna: Is the log_lik that you proposed in that formula (log_lik = log(f)) has the same mean…

Generating log_lik for Regime Switching Model help

Modeling

mcol April 14, 2020, 5:02pm 3

I’m sorry, I’m not familiar with this type of models and I’m very short on time. Perhaps the answer to this post will set you on the right path. Otherwise I suppose @James_Savage will have the answer ready.

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Generating log_lik for Regime Switching Model help

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